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FINANSMARK-Finansmarkedet

Methodological developments in the analysis of financial risk called for by industry needs

Tildelt: kr 2,3 mill.

We will focus on two statistical themes, and we have selected three areas of application for the methodologies that we develop within these themes. The themes as well as the areas of application are closely related, and our research will constitute a comb ination of the methodologies and the areas of application. The statistical themes we want to focus on are 1) Non-normal distributions 2) Dependency modelling which both are of crucial importance for modelling financial instruments and risk managemen t. The applications are all concerned with risk management. Within the fields of 1) Market risk 2) Credit risk 3) Total risk there are methodological challenges associated with modelling the mechanisms and distributions of risk as well as depen dency structures between the financial instruments underlying the risks and between the different risk types.

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FINANSMARK-Finansmarkedet

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